Shanghai B-Share Market Liquidity Linked to Volatility and Event Impact.
The study looked at the liquidity of the B-share market in China using real-time data. They found that the bid-ask spread is the best way to measure liquidity, while trading volume and frequency are not as effective. A-share companies have better liquidity than their B-share counterparts. Events in the securities market can strongly impact liquidity, and volatility is linked to liquidity in the market.